Edgeworth Approximations for T-Ratios of 2sls Estimates of a Dynamic Model
Publication Type
Journal Article
Publication Date
1984
Abstract
Little is known about the small sample distributions of t-ratios of estimates of coefficients of dynamic simultaneous equation models. This paper investigates the Edgeworth and Nagar approximate distributions of the t-ratios of 2SLS estimates of an artificial two-equation dynamic model. The approximations are compared with probabilities estimated by a Monte Carlo experiment. The results show that the Edgeworth and Nagar approximations are better than the asymptotic normal.
Discipline
Economics
Research Areas
Econometrics
Publication
Communications in Statistics: Simulation and Computation
Volume
13
Issue
5
First Page
603
Last Page
618
ISSN
0361-0918
Identifier
10.1080/03610918408812400
Publisher
Taylor and Francis
Citation
TSE, Yiu Kuen.
Edgeworth Approximations for T-Ratios of 2sls Estimates of a Dynamic Model. (1984). Communications in Statistics: Simulation and Computation. 13, (5), 603-618.
Available at: https://ink.library.smu.edu.sg/soe_research/301
Additional URL
https://doi.org/10.1080/03610918408812400